Time-varying risk premium yield spread effect in term structure and global financial crisis: Evidence from Europe

Author:

Choudhry Taufiq

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference35 articles.

1. Interest rate pass-through in the euro area during the financial crisis: a multivariate regime-switching approach;Aristei;Journal of Policy Modeling,2014

2. The financial crisis and the changing dynamics of the yield curve, university of Basel;Bech,2012

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4. A robust LR test for the GARCH model;Busch;Economics Letters,2005

5. Yield spreads and interest rate movements: a bird's eye view;Campbell;Review of Economic Studies,1991

Cited by 3 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. Estimating yield spreads volatility using GARCH-type models;The North American Journal of Economics and Finance;2021-07

2. Modeling non-normal corporate bond yield spreads by copula;The North American Journal of Economics and Finance;2020-07

3. “Global factors, international spillovers, and the term structure of interest rates: New evidence for Asian Countries”;The North American Journal of Economics and Finance;2020-01

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